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Efficient with respect to publicly available techniques means that, like 19 out of 20 of your fellow daydreamers, when the end of the free ride came, you would have gone down with the ship.

Start shorting companies that publicly available techniques have overvalued. Big money was made like that when the bubble ended in 2000.

Markets may not be efficient in the absolute sense, but they are effectively so with respect to publicly available techniques.

Congratulations, Peter. Not for taking my side of this issue, but because you looked at the facts and changed your mind. The efficiency approach is a good one. Then consider that no technique based on the processing of past price data would remain undiscovered by the gigaflops for more than a...

Which trend following strategy has the highest win ratio?

Arbitrage has been brought up and set aside as a separate case, because the concept of "trend" doesn't apply.

That's trend following, the topic of this thread.

Hank, If settlement of petroleum sales worldwide continues to be diversified away from the de facto dollar standard, it seems like the cost of petroleum in dollars will go up. This could play itself out over the next several years. Thoughts?

Yes, there has be some semantical confusion going on. On one level, "trend" and "persistence of price change" would seem to be the same. However, attempting to follow specific directions of "trend" and using a system that exploits the persistence of price change in general are two different...

The more of your posts I read, the more obvious it becomes that there once was a mediocre trader named Lefty the Clown, and you're just his vicious and lonely Mini-Me.

Though the details of persistence in the change of price are known only after the fact (as with trend), perhaps knowledge of its general existence is enough to make a profit. Could be an interesting new topic of discussion.

Another irrelevant personal attack without substance from Lefty the Clown. Thanks again for the laughs.

What you have described is a way to exploit persistence in the change of price without attempting any trend following. It's an excellent workaround which doesn't require the concept of trend in dispute here.

A time series is discontinuous and thus not differentiable. These wish-fulfilling posts of yours reveal a personality inclined toward fantasy above all else. Neurotic in tone, lots of hostility and little substance. Let me guess: you play a mean Dungeons & Dragons. By the way, you're...

The terms with a positive serial correlation would be the net changes in price between each entry and exit. (A time series has no derivative.) It's an interesting approach. Gotta give him that much.

Actually, if the market did have a tendency to trend, your method would work, I think.

If I read your hypothesis right, it says that the slope of price has a positive serial correlation.

If it's a given beforehand that trends of a certain type are going to be introduced into the data, then the price curve is predictable on that basis. This never happens in the real world, though.

If you mean my answer to the question about randomness in the market, I stand by it.

Better traders trade the nonrandom component.